When the DGP is nested in the model, PcGets delivers high performance selection across different (unknown) states of nature. One of its steps involves sub-sample post-selection assessment, and here we consider its properties and investigate its practical application. The simulation results show that conditional on retaining a variable, sub-sample information cannot discriminate between substantive and adventitious significance. The Monte Carlo experiments also reveal that the sub-sample selec...Expand abstract
- Economics Series Working Papers
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Sub-sample Model Selection Procedures in Gets Modelling.
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